All Bond

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 (2) (3.8) 56 0 1 (4) (8) 0 90
60 1 1.3 52 0 3 (3) (12) 0 93
120 0 (0.2) 46 0 4 (4) (33) (1) 91
250 4 2.4 49 1 7 (3) (33) (1) 95
500 4 2.5 53 1 6 (4) (33) (1) 94
760 3 2.3 51 1 6 (4) (35) (1) 95
1260 3 2.4 50 1 6 (3) (35) (1) 95
2520 4 2.4 50 1 8 (5) (57) (1) 95
All 4 2.1 50 1 8 (5) (88) (1) 95

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 0.3 0.3 0.4 0.1 0.1 0.6 0.4 0.1 0 0.1 0.5 0.3 3.3 2.5 49.7 216 (0.3) (0.5) 1.9 0.5
2017 (0.2) 0.2 0.2 (0.3) 0.1 0 0 0 0 0 0 0 0 (0.2) 47.1 71 (0.3) (0.5) 1.3 0.4
2016 0.4 0 0.8 0.5 0.1 1 0.8 0.2 (0.2) 0.2 1.6 0 5.4 3.5 53.2 219 (0.2) (0.4) 2 0.6
2015 0.3 0.8 0.4 (0.2) 0.2 1.1 0.5 0.2 0 (0.2) 0.5 0.1 3.7 2.3 52.4 223 (0.3) (0.5) 2.5 0.6
2014 (0.1) 0.1 0.6 0.4 0.1 0.3 0.2 (0.2) (0.1) (0.1) 0 0.8 2 1.8 49 218 (0.4) (0.6) 1.8 0.5
2013 0.1 0.2 0.3 0.1 0 0.8 0.3 0.3 (0.2) (0.1) 0.4 0.2 2.4 2.4 47.8 210 (0.2) (0.7) 1.5 0.4
2012 0.6 0.3 0 (0.2) 0.2 (0.1) 0.3 0.2 0.4 0.6 0.1 0.6 3 2.7 45.9 210 (0.2) (0.5) 1.8 0.5
2011 0.7 0.4 (0.3) 0 0.2 0.3 (0.4) (0.1) 0.3 1.1 0.3 0 2.5 1.6 44.7 217 (0.3) (1) 2.5 0.6
2010 (0.3) 0.5 0 1 (0.1) 0.4 (0.2) 0.5 0.6 0 (0.1) 2.7 5 2.1 50.8 205 (0.3) (0.6) 3 0.5
2009 2.2 0.7 (0.7) 0.4 (0.3) 1.5 0.1 1.6 0.3 0.8 0.6 0.9 8.1 3.5 54.9 211 (0.6) (1.1) 2 0.6
2008 0.7 1.1 0.5 0.6 0.4 1.1 0.4 0.6 0.3 2.1 1.4 0.9 10.1 3.2 52.5 217 (0.6) (1.2) 1.8 0.6
2007 (0.3) 0.5 (0.3) 0.2 (0.2) 0.4 (0.1) 0.2 0.9 (0.3) 0.3 1 2.3 2 52 226 (0.2) (0.6) 1.3 0.5
2006 (0.1) (0.1) 0.2 0.1 0.3 0.2 0.1 0.1 0.3 0 0.2 0.2 1.5 1.8 50.8 202 (0.2) (0.3) 1 0.5
2005 0 (0.1) 0.3 0.2 0.2 0.1 0.2 0.5 0 0.2 (0.5) (0.3) 0.8 0.8 50.4 213 (0.3) (1) 1.3 0.5
2004 0.6 0.2 (0.9) 0.3 0.7 0.2 0.1 0.2 0.3 0.1 0.4 0.5 2.7 1.6 50.4 216 (0.5) (1.1) 2.3 0.5
2003 (0.1) 0.4 0.7 0.3 (0.1) 0 (0.2) 0.2 0.9 1.3 0.5 1 4.9 2.2 49.2 216 (0.7) (1) 1.8 0.5
2002 0.4 0.1 1.3 0.4 0.1 (0.1) 0.3 0 0.3 1.4 0.1 (0.7) 3.6 2.1 51 215 (0.4) (1.4) 1.8 0.5
2001 0.4 0.5 0 0.6 (0.2) 0.1 0.3 0.6 0.4 0.8 1.1 1 5.6 2.6 50.8 206 (0.9) (1.4) 2 0.5
2000 0.2 (0.2) 0.2 (0.6) 0.6 0.6 (0.1) (0.2) 0.1 (0.4) 0.3 0.4 0.9 0.8 47.8 217 (0.3) (0.9) 1.5 0.5